Options Chain Data Exploration Analysis

For the Man Group PyData 2022 Jupyter Notebook Plotting Competition.

The Dataset

	lastTradeDate	strike	lastPrice	bid	ask	change	percentChange	volume	openInterest	impliedVolatility	inTheMoney	contractSize	currency	date	ticker	type
contractSymbol
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What is in the Data

• All options are for the underlying GOOG and with expiry date 2022-05-19
• Based on the in the money column, the underlying price is between 2200 USD (max strike of calls in the money) and 2250 USD (min strike of calls out of the money)

Exploration Analysis

• The Call and Put premium curves cross each other around strike ≈ 2750, which is quite larger the the underlying mid price = 2225.
  • This seems to suggest that Puts between these two values might be underpriced (low premium)

• A similar conclusion than for the previous plot.
  • It seems to suggest to me that there less risk in buying / selling at strike around the curves crossing point, 2750 USD.

• The Premium % Change is mainly positive for Puts, and mainly negative for Calls.
  • The premium for Puts are raising in the last days (2021-12-30 to 2022-01-05)

• There is a huge spike / outlier in Open Interest (open positions) for Puts around at strike = 2700, which is close the premium curve crossing (~2750) noticed before.
  • it seems to suggest the there it should be easy to buy many Puts with strike = 2700

• ...Also, there is not much trading happening today for strikes near the premium curve crossing point of before

• The Implied Volatility Curve shows the "Smirk" shape of equity markets (link)

Extra

I think that from the lastTradeDate and change columns, one can infer when the dataset was extracted.

• Last trade date is 5th-Jan-2022, hence this data can is extracted one day later, 6th Jan 2022.
• On that day, the trading price of GOOG was around 2750 USD yahoo finance), much higher then the 2225 USD inferred from the inTheMoney column in the dataset...
  • where the dates in this dataset shifted ?